基于SV-M模型的全球股市交易指数波动与收益率的多分辨分析  

Multiresolution Recognition Analysis of the Relationship between Returns and Volatility of Global Stock Market Based on Stochastic Volatility in Mean Model

作　　者：秦伟良[1] 颜华实[1] 

机构地区：[1]南京信息工程大学数理学院,江苏南京210044

出　　处：《运筹与管理》2010年第2期129-133,共5页Operations Research and Management Science

基　　金：全国统计科研计划重点资助项目:2008LZ022

摘　　要：为了有效揭示收益率与波动的关系,本文采用极大重叠离散小波变换,将收益率分解在不同的交易周期上,建立各自的SV-M模型,考察各周期收益率与波动的关系及其他参数随交易周期的变化情况。实证表明,全球各大股票交易市场的收益率,收益率与波动的在较小的尺度上关系不显著,但在较大尺度上,存在明显的正相关关系;且随交易周期的增长,收益率的相关性及波动持续性逐渐增强。To efficiently analyze the relationship between volatility and returns of different trading periods, based on decomposing daily return of global stock markets into different trading periods by MODWT, stochastic volatility in mean model is used to investigate the changes of the relationships between different trading periods and the other parameters. Evidence shows that the relation between volatility and returns of global stock markets is remarkable through large scales of trading periods but not remarkable through small ones and the self correlation of each returns and the persistence of volatility grows along with the increasing of trading periods.

关 键 词：SV—M MCMC 小波变换 

分 类 号：F830.91[经济管理—金融学]